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Eric Benhamou

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This is information that was supplied by Eric Benhamou in registering through RePEc. If you are Eric Benhamou , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Eric
Middle Name:
Last Name: Benhamou
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RePEc Short-ID: pbe39

Email:
Homepage: http://www.ericbenhamou.fr.st
Postal Address: CDC Ixis CM 47 Quai d'Austerlitz 75013 Paris Cedex France
Phone: 0033 1 55 581598

Affiliation

CDC Ixis CM
Homepage: http://www.cdcixis.com
Location: France, Paris

Works

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Working papers

  1. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA.
  2. Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance 0212004, EconWPA.
  3. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance 0212003, EconWPA.
  4. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
  5. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.

Articles

  1. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.

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Corrections

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